“ It has come to our attention that the new faction Hq 'Merchant Space Dock' are being taken out of factions and owned for private use..........The stations are meant to be only owned by factions and serve as their Hq. ”

So.. when creating a new faction.. you must have a HQ that is planet side in order to create and only then can you build the Merchant Space Dock?

I was hoping to build one and have that as the first HQ upon creation...

Currently, as the feature was coded, there is no way to convert a station to an HQ upon creation. You still need a ground based one, then recycle it and you can 'start' with a Station HQ. Or raise your member count and build one. No words on if and when this will be changed.